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A joint survival analysis of hedge funds and funds of funds using copulas
Gregoriou, Greg N.; Pascalau, Razvan - In: Managerial Finance 38 (2011) 1, pp. 82-100
Purpose – The purpose of this paper is to propose that simple measures of linear association are unable to capture accurately the dependence between the survival of hedge funds and funds of funds, respectively. The paper then aims to advocate the use of copulas to model the joint survival of...
Persistent link: https://www.econbiz.de/10014940217
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Dynamic hedge fund portfolio construction
Harris, Richard D. F.; Mazibas, Murat - In: International review of financial analysis 19 (2010) 5, pp. 351-357
Persistent link: https://www.econbiz.de/10009272647
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The value added of hedge fund styles in multi-asset protfolios : a new approach based on bull and bear market betas
Heidorn, Thomas; Kaiser, Dieter G.; Lucke, Daniel - In: Review of accounting & finance 12 (2013) 1, pp. 44-59
Persistent link: https://www.econbiz.de/10010126724
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The value added of hedge fund styles in multi-asset portfolios: A new approach based on bull and bear market betas
Heidorn, Thomas; Kaiser, Dieter; Lucke, Daniel - In: Review of Accounting and Finance 12 (2013) February, pp. 44-59
Purpose – Academic research has shown that diversification today may not only include stocks and bonds but also alternative investments like hedge funds. However, practical and effective methods to identify the hedge fund styles that really enhance the risk return characteristics of a...
Persistent link: https://www.econbiz.de/10010814978
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Should we give hedge funds clones a chance?
Kooli, Maher; Sharma, Sameer - In: Managerial Finance 38 (2012) January, pp. 44-66
Purpose – The purpose of this paper is to examine the possibility of creating hedge funds “clones” using liquid exchange traded instruments. Design/methodology/approach – Authors analyze the performance of fixed weight and extended Kalman filter generated clone portfolios (EKF) for 14...
Persistent link: https://www.econbiz.de/10010691527
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The value added of hedge fund styles in multi‐asset portfolios
Heidorn, Thomas; Kaiser, Dieter; Lucke, Daniel - In: Review of Accounting and Finance 12 (2013) 1, pp. 44-59
Purpose – Academic research has shown that diversification today may not only include stocks and bonds but also alternative investments like hedge funds. However, practical and effective methods to identify the hedge fund styles that really enhance the risk return characteristics of a...
Persistent link: https://www.econbiz.de/10014989653
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Should we give hedge funds clones a chance?
Kooli, Maher; Sharma, Sameer - In: Managerial Finance 38 (2011) 1, pp. 44-66
Purpose – The purpose of this paper is to examine the possibility of creating hedge funds “clones” using liquid exchange traded instruments. Design/methodology/approach – Authors analyze the performance of fixed weight and extended Kalman filter generated clone portfolios (EKF) for 14...
Persistent link: https://www.econbiz.de/10014940215
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The principles of alternative investments management : a study of the global market
Sokołowska, Ewelina - 2016
Persistent link: https://www.econbiz.de/10011326528
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WHO BENEFITS FROM FUNDS OF HEDGE FUNDS? A CRITIQUE OF ALTERNATIVE ORGANIZATIONAL STRUCTURES IN THE HEDGE FUND INDUSTRY (I)
CAO, Yang; OGDEN, Joseph P.; TIU, Cristian I. - In: Business Excellence and Management 1 (2011) 1, pp. 19-36
This paper provides a critique of alternative organizational structures in the hedge fund industry. Our critique is facilitated by several stylized models describing alternative industry structures. The models include: (1) An insideonly hedge fund model; (2) A straddling hedge fund model; (3) A...
Persistent link: https://www.econbiz.de/10009652064
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WHO BENEFITS FROM FUNDS OF HEDGE FUNDS? A CRITIQUE OF ALTERNATIVE ORGANIZATIONAL STRUCTURES IN THE HEDGE FUND INDUSTRY (II)
CAO, Yang; OGDEN, Joseph P.; TIU, Cristian I. - In: Business Excellence and Management 2 (2012) 1, pp. 5-20
This paper provides a critique of alternative organizational structures in the hedge fund industry. Our critique is facilitated by several stylized models describing alternative industry structures. The models include: (1) An inside-only hedge fund model; (2) A straddling hedge fund model; (3) A...
Persistent link: https://www.econbiz.de/10010541181